摘要
本文应用模型EGARCH(1,1)-GED和GARCH(1,1)-N计算了深圳股票市场成份指数的日对数回报VaR值。通过后验测试和统计分析表明,对深圳成份指数的波动性分析,模型EGARCH(1,1)-GED优于GARCH(1,1)-N。在此分析结果基础上,文中进一步分析了深圳股票市场的系统性风险并提出了相关结论与政策建议。
In this paper, EGARCH（ 1,1）-GED model and GARCH（ 1,1）-N model are applied to calculate the VaR value of day logarithm return data of Shenzheng Stock Exchange Index. The paper concludes that the EGARCH（1,1）-GED model is better than the GARCH（1,1）-N model in time series of Shenzheng Stock Index returns and volatility by back testing and statistic analysis. At last, the paper analyzes the system risk of Shenzheng Stock Market and presents correlative conclusion and policy suggestion.
出处
《南开管理评论》
CSSCI
2005年第5期9-13,共5页
Nankai Business Review
基金
国家自然科学基金项目(非瓦尔拉斯均衡的风险价值模型
编号70371035)
